Three interface functionsWith this updated version, I have now decided to break the class public interface function (previously getData function) into three separate functions. Handling all those different mandatory/optional input parameters for all different types of market data started to be a bit too messy operation to handle and public interface function mutated itself into a scary-looking monster. However, I still have not compromised the basic principle which says, that the wrapper is a compact one-module entity, which can be imported easily into your new VBA project. So, everything is (and hopefully will be) inside one class module. Anyway, to be more specific about the new public function interfaces, we have now three separate public functions for different types of data queries:

referenceData

bulkReferenceData

historicalData

I assume that you are familiar of these data query types already. If not, then read those previous posts. Now, let us investigate these function interfaces a bit to be able to understand, what has been changed. For referenceData, the new class interface function has been defined to be the following:

Needless to say, we still need to give arrays for securities (Bloomberg tickers with yellow key) and fields (Bloomberg field names). Field override in BloombergWhat is new here, is the override optionality. To implement an override to any field, we need to set up one array for override field names and another for override values. Excellent source for investigating possible override options for a field, is Bloomberg itself and its FLDS function. For example, you can test the override in your Bloomberg with the following commands:IBM US Equity<GO>FLDS<GO> write best eps into FLDS query input box and press ENTERmouse-click BEST_EPSYou should now have a view for all the fields, which can be overriden for this specific field (BEST_EPS). Just for an example, if you select BEST_FPERIOD_OVERRIDE (default value = 1FY) to be 3FY, you can see that the value for BEST_EPS also changes. And so on. If you play with this FLDS for a while, you should become pretty comfortable with this override possibility in Bloomberg. Personally I have to give a credit for Bloomy people for giving out this function, since it is a really great tool, which truly increases your productivity. There is an example tester program given for reference data retrieving in the code section below, with and without override. If you already did not know, you can retrieve multiple fields for multiple securities, as that example program shows. Next, we have bulkReferenceData. The new class public interface function has been defined to be the following:

Nothing else has been changed, except we have now override possibility also for this type of data retrieving. Using override follows exactly, what has been presented above for reference data. I guess that most of the people will retrieve option chains, bond chains or curve member chains from Bloomberg. If you are not familiar what kind of overrides you can have for a chain, use FLDS again (BOND_CHAIN, OPT_CHAIN, INDX_MEMBERS). There is an example tester program given for bulk reference data retrieving in the code section below, with and without override. It should be noted also, that you can also retrieve chains for multiple securities, as that example program shows. Because the function returns a multidimensional array, there might be some further labour needed for handling this array for empty items. However, if you are comfortable enough with VBA arrays, this should not be any tombstone for your project.Finally, we have the trickiest one, historicalData. Function interface has been defined to be the following:

Note the large amount of optional parameters for historical data. If you are familiar with Bloomberg BDH function, you may notice, that these optional parameters above are exactly the same what are being used in that BDH function. Let us go through the optional parameters:

calendarCodeOverride - Returns the data based on the calendar of the specified country, exchange or religion from CDR <GO>. Taking a two character calendar code null terminated string. This will cause the data to be aligned according to the calendar and including calendar holidays. This only applies to daily requests.

currencyCode - Amends the value from local currency of the security to the desired currency. Currency of the ISO code. Eg. USD, GBP.

nonTradingDayFillOption - Sets whether to include or exclude Non-Trading Days when no data is available. NON_TRADING_WEEKDAYS, ALL_CALENDAR_DAYS or ACTIVE_DAYS_ONLY (default).

nonTradingDayFillMethod - Formats the type of data returned for non-trading days. PREVIOUS_VALUE (default) or NIL_VALUE.

periodicityAdjustment - Sets the periodicity of the data. ACTUAL, CALENDAR (default) or FISCAL.

maxDataPoints - The number of periods to download from the end date. The response will contain up to X data points, where X is the integer specified. If the original data set is larger than X, the response will be a subset, containing the last X data points. Hence the first range of data points will be removed. Any positive integer.

pricingOption - Sets quote to Price or Yield for a debt instrument. PRICING_OPTION_PRICE or PRICING_OPTION_YIELD (default for debt instrument).

These definitions for optional parameters given above, are copy-pasted from Bloomberg WAPI site. The best way to learn what kind of effect these parameters has on your result data, is just to play with parameters. There are also some override possibilities for historical data request and these are following the same principles as presented within the previous sections. If you want to know what kind of fields can be overriden for historical data retrieving, consult WAPI<GO> or contact Bloomberg help desk. To be honest, I am not so familiar with overriding fields for historical data.

Data array inconsistency for historical data - the problemWith this updated version for historical data, it is now possible to retrieve historical data also for multiple fields and multiple securities. However, one really annoying feature for this historical data retrieving for multiple securities is the fact, that the dates for different securities are not necessarily matching inside arrays. I mean, that for an array item n

security A has a date of 12.8.2013 for the item

security B has a date of 15.8.2013 for the item

security C has a date of 13.8.2013 for the item

Technically speaking, you could do a separate function for handling this problem. First you get raw data for all n securities. After this, you pick up one security to be "reference security" for dates. Then you loop through the whole data set (n-1 securities left) and fetch data for "reference security dates" for all those securities left. Then you also need to define a rule for missing data. For example, use previous value if security does not have observation for a give date, and so on. So, even it should not be "intellectually too challenging", for sure it means a lot of extra churning with your code. So, what to do?

The solutionBecause of all those ingenious optional parameters implemented, there is an elegant way to overcome this problem. We give the following optional parameters for wrapper when retrieving historical data

nonTradingDayFillOption= ALL_CALENDAR_DAYS

nonTradingDayFillMethod = PREVIOUS_VALUE.

There is an example tester program for retrieving historical data with these optional parameters implemented. It shows that by employing this method, your data arrays for different securities will be "date consistent" with each other. Make sure, that you have "Sheet1" existing in your Excel, since all tester programs are printing out the result data into this worksheet. Final note: do not forget to declare Bloomberg V3COM API library: VBA editor (ALT+F11) - Tools - References - Bloomberg API COM 3.x Type Library.AfterthoughtsThe biggest improvement for this version has been the optionality for field value overrides. Second improvement has been the possibility for retrieving data for multiple securities (bulk reference and historical data) and multiple fields (historical data). I have tested example programs and they should be working correctly. If you observe anything unusual going on with wrapper, just leave a comment for me.My personal Thank You this time goes to Faizal from Singapore. As I have been gradually working with this wrapper, he has been giving me 1) some proper motivation to work, 2) valuable suggestions and comments, and 3) extremely valuable help for testing this wrapper with real-life data sets.Anyway, have a great start for autumn and thanks for reading my blog. I hope you got something to make your life a bit easier when working with Bloomberg market data in VBA.-Mike

Wow!!! It's like getting a cool present for the Christmas :) Thanks a lot Mike !!!!

Some errors I've met:Private bOverrideFieldArray() As StringPrivate bOverrideValueArray() As String

should be defined as Variant, else: type mismatch error.

In case there is a list of products > 10 the output will be in a wrong order as it BBG will take the values starting with 1 first, then 2, etc. The order will be 1, 11, 12.. 2, 21 etc.. However, this is easy to correct.

That's for the moment. Once again, thank's a lot Mike. You did a great job !

Sounds interesting this case with those override arrays. Works fine for me without any errors. So, you actually started to run those tester programs and it was throwing that type mismatch error?

With that second case, I am not sure whether I understood what was the problem - sorry :) Hmm .. Can you describe this case in a bit more detailed level. What type of data you wanted to get? What securities and fields and so on .. That would be helpful for me and next week I can create test case and debug that to see where's the problem..

.. and hereby in our tester program, all arrays (except result) are defined as strings:Private r As VariantPrivate s() As StringPrivate f() As StringPrivate overrideFields() As StringPrivate overrideValues() As String

If you look at the function interfaces in wrapper, you see that all the input arrays are taken in as variant. When we assign string array to variant, the result will be variant/string array. So this assignment is valid. Now, there is a reason why these override field and value arrays are not defined as strings in function interfaces: you can not have array as an OPTIONAL argument in function interface.

I'm not sure if this has something to do with the wrapper, but I got some strange behavour in the output.

For instance, when I do in Excel BDP("ADBE US Equity", Security_typ) it will result in common stock. If I use the wrapper with s(0) = "/isin/US00724F1012", it wont generate any output. If I try a regular other ISIN it works with the wrapper. If I use the ticker into the wrapper s(0) = "ADBE US Equity", it will generate a output.

Not sure if this has anything todo with the wrapper, but just wanted to share it..

Well, I actually did not know that was this the source of error (lowercase alphabet in ticker).. initially I suspected that you might have some other issue with your program. Anyway, always good to confirm that the program is working as expected.

Hi, Mike! I run across you wonderful blog via google search, it seems you are doing some great works. Please keep it up. I have not been able to play with the wrapper yet, but one thing i do not fully understand from the post is - can it download historical intraday data? I have some bloomberg api examples which are provided with the terminal of that, but they are not really efficient, you need to rework them to make thing work properly anyway...

Thanks again for the awesome code! Still got a question regarding bulk data. For instance; GS US Equity with BOND_CHAIN. If you do in excel bds("GS US Equity","BOND_CHAIN") you will receive two fiels as an output (bloombergid and tickCpnMty). Is it also possible to retreive the output TickCpnMty (the second field from the output)? If I use the code I only receive the bloombergIDs.

Great ! This is working fine.Nevertheless, if I request several fields containing BulkData of 2 columns, I get back the result of only 1 field.i.e : For s(0) = "/isin/ES0305033005 "f(0) ="MTG_HIST_COLLAT_BAL"f(1) ="MTG_HIST_NUM_LOANS"overrideFields(0) ="COLLATERAL_DATA_SOURCE"overrideValues(0) = "2"r = b.bulkReferenceData(s, f, overrideFields, overrideValues)

Hi guys. Try this (working to grab all columns from BDS function).PS, it doesn't work very well with multiple securities. I'm not sure why, had no time to explore the code enought. In case of multiple securities (most of times, I guess), use this code doing 'multiple requests'. Sorry about that.

I have been working on a more "elegant" way to grab data from Bloomberg into a excel spreadsheet than using the well known BDP and BDH functions and after several weeks of research (of course I'm not working fulltime on this project, since I have other concerns in my work environment), your last three posts about it are the most beautiful and cristal clear material I have found so far. I've already put your first method to the test and it works like a charm. Now I'm finishing to analyze this last update and I'm glad I could finally find a good solution to my problem.Please don't stop sharing your knowledge with us! Good job with your blog, it is already on my Favorites tab.

Thanks, and sorry for any mispelled words and mistakes, English is not my mother language.

I've been reading your articles about Bloomberg requests and I have to say many thanks to you. I'm a junior analyst and I'm starting working on, I should say, basics. I have a question about the override fields. Lets say I want to request a 6x10 Fx volatility surface. I usually use bdp functions with override fields. I tried the same with your code and all I managed to do is one request per maturity/strike, which means 60 requests. It works but it's really time consuming. do you have any advice for a one request code that could allow me to build one array with all my values?

Hi Martin, I had the same error when i ran the code, but i was able to fix it by changing the date syntax in CDATE formula. Currently it is something like CDATE("31.04.14"), you have to change it to american standards like CDATE("04/31/14").

Hi Mikael,I was looking through your VBA code but i was not sure how to add option1 field into the program. For example, I have a BDP formula that checks the correlation.. =BDP("EURUSD BGNL Curncy","CORR_COEF", "BETA_OVERRIDE_REL_INDEX=DKKUSD Curncy"). I couldn't figure out where i would add the beta parameter. Do you know of any examples that would overcome this issue? thanks for your help

Hi,First of all thanks for your awesome work however when I implement everything works fine except for the hirstorical data. I always get the same error:Invalid procedure call or argumentWhat can be the cause of this issue?

Hi Mikael. This is truly an awsome piece of development code. EXCELLENT!I just found one typo error in your code that was preventing the code from running smoothly for one parameters. It is for the OPTION_PRICING parameter in historical request:

There is an additional space after pricingOption that has to be removed in the sendRequest() line bRequest.Set "pricingOption ". See below:

Wrapper is still pretty far from being reliable and .. in many ways, I'd like to get back on the horse and start to think again, how to fix all reported bugs and to make it better to use. It has been working pretty well for my own very simple needs, but as I can see, the other users are finding all kinds of strange bugs pretty much all the time.

And that makes me feel bad, since I have not been having a time or interest to dig deeper with all those reported bugs. Moreover, the fact that the only place to really test any related code is at my desk - since I do not have Bloomberg at home - is a restricting factor on any development work on this front. So, until I will get back on that horse, you have to keep your head above the water. Thanks for reporting bugs and sorry I have not been able to help you. Maybe some day, I will find some extra energy to think what could be the next step in evolution concerning this wrapper.

In my project, mktdata subscription is used to fetch blpdata, historical data and bulkdata using old method, ie bloombeg data control library. As I migrated to excel 2013, this library is no more supported. So now I want to achieve the same using COM library but not getting more information in the examples downloaded from bloomberg site.

I am not quite sure what you mean, but .. the wrapper presented here, is able to request historical data and snapshot data (market data, say, close price for 10Y Bund future, etc) and other related reference data (tick size for the contract, etc). However, wrapper is not supporting real-time feeding. Is this the case you are referring to?

Thanks for your posts and the wrapper. They are excellent!I am trying to get the yield for several bonds. The thing is I want to override the prices. I have adopted your tester as follows but it keeps returning the default yields instead of the override yields. Below are two bonds where I want to price the yields overrided with my prices: 2 bonds, 2 sets of prices per bond (bid/ask). Any ideas? Any insights appreciated. thank you

Is there a way to do the equivalent of this =BDS("M US Equity", "ERN_ANN_DT_AND_PER", "endcol=2")? In other words, return two columns of bulk data, one being the values the other being the YYYY:Q# label?

Fabulous work, thanks ! When I am using this with historical data over a short time frame, sometimes some fields have no data because there has been no update in the Bloom data. In such cases carrying over the previous values does not work & I get no value at all, but also the "columns" in the output array get "mixed up" because if a field has no data the corresponding column is simply "deleted". So e.g. field number 4 will appear in column 2, etc. Is there a way to solve this, e.g. with NAs for missing values ? Thanks

My security ticker is "RTY Index". I'm trying to retrieve the LAST_PRICE in multiple currencies so I have to use historicalDataWhen I use the function referenceData, it works but it does not with the historicalData function.

Hi - after reinstalling the terminal I have a "Can't find a project or library" error and I can see that VBA now has a reference to API COM3.5 vs 3.0 before. Is the code compatible with API COM 3.5 or is there an issue with that latest version? Thanks for the help

MikaelI came across this wonderful API through some google deep dive. Thank you very much for taking time to work on this. There were a couple of issues that I worked around with. This is for someone who has the same issues.1. Wrapper calls the date-text conversion module only from the historical data subroutine. let's say you're calling worksheets with MBS cusips sorted by months in a year so you can pull up specific prepay/factor information for a specific month. If you use a settle date or collat as of date override and reference to a date field you will not get the factor info for the relevant date. I suggest using the actual bbrg dates as overridevalues within your reference data subroutine before you call the wrapper. I modified the date fields for all subroutines calling the wrapper so that the wrapper never calls the date conversion module. It was simpler and cleaner, since you will be accessing the same worksheets again and again.2.when you are calling securities from a worksheet into an array directly, please make sure you convert them to a one dimensional string array with option base 0 syntax. otherwise, you will get an error and even if you convert by cycling through you array, you will lose the first security if you didn't redim Mikael's arrays named s(), f(), overridefields() and overridevalues()3.if you have a lot of securities dumping the entire boutputarray saves time, especially for the historical data subroutine. But make sure you've increased the second dimension by expanding it to 4 columns before dumping the output.

The programs, which are presented in this blog, can be freely used, but without warranty or support of any kind. By using the programs presented in this blog, you accept to bear the entire risk, concerning quality or performance of any programs used. In no event, will I be liable to you for the damages, including any general, special, incidental or consequential damages arising out of the use or inability to use the programs presented in this blog. By using the programs presented in this blog, you are accepting the content of this disclaimer.